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Keywords: Regime-switching model
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Journal Articles
International Journal of Emerging Markets (2021) 16 (8): 1556–1582.
Published: 22 July 2020
...-regime GARCH models (GARCH, EGARCH and GJR-GARCH) and two kinds of regime-switching models (MSGARCH and MMGARCH) and just involved one quantile of upside VaR content a bit in the article's appendix. The comparison content between the two types of models on risk forecast seems too little. More...
